An Approach to Asymptotic Robustness Analysis of Sequential Tests for Composite Parametric Hypotheses

An Approach to Asymptotic Robustness Analysis of Sequential Tests for Composite Parametric Hypotheses

We consider the problem of sequential statistical testing of composite parametric hypotheses. We construct asymptotic expansions for the conditional probabilities of errors and conditional mathematical expectations of the sample size in the presence of “outliers” in observed values. To obtain these...

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Veröffentlicht in:Journal of mathematical sciences (New York, N.Y.) N.Y.), 2017-11, Vol.227 (2), p.196-203
1. Verfasser: Kharin, A. Yu
Format: Artikel
Sprache:eng
Schlagworte:
Analysis
Asymptotic series
Hypotheses
Likelihood ratio
Markov chains
Markov processes
Mathematics
Mathematics and Statistics
Outliers (statistics)
Quality control
Robustness (mathematics)
Statistical analysis
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Zusammenfassung:We consider the problem of sequential statistical testing of composite parametric hypotheses. We construct asymptotic expansions for the conditional probabilities of errors and conditional mathematical expectations of the sample size in the presence of “outliers” in observed values. To obtain these results we propose and use a new approach based on the approximation of the generalized likelihood ratio statistic by special Markov chains.
ISSN:1072-3374
1573-8795
DOI:10.1007/s10958-017-3585-z